The nearest correlation matrix problem: Solution by differential evolution method of global optimization

have many applications, particularly in marketing and financial economics as reflected in the works of Chesney and Scott (1989), Heston (1993), Schöbel and Zhu (1999), Tyagi and Das (1999), Xu and Evers (2003), etc. These matrices find frequent applications in risk management and option pricing (Rebonato and Jäckel, 1999). The need to forecast demand for a group of products in order to realize savings by properly managing inventories also requires the use of correlation matrices (Budden et al. 2007).